一、 报告题目
The Cross-predictability of Industry Returns in International Financial Markets
二、摘要
This paper finds evidence of return predictability across intra-industry trading partners in international financial markets. Previous-month importer returns have predictive power on the contemporaneous returns of corresponding exporters at the country-industry level. Based on lagged importer returns, a value-weighted portfolio yields monthly abnormal returns of 0.539%. When comparing return predictability at both the intra-industry and inter-industry levels, we find that the predictability at the intra-industry level is much more important.
三、 报告人
王鑫 山东大学经济学院助理教授
四、 报告时间
9月17日14:00-15:00
五、 报告地点
腾讯会议 ID:438 654 384
六、主办单位
山东大学经济学院金融系